TY - JOUR
T1 - On the asymptotic behavior of a boltzmann-type price formation model
AU - Burger, Martin
AU - Caffarelli, Luis A.
AU - Markowich, Peter A.
AU - Wolfram, Marie-Therese
N1 - KAUST Repository Item: Exported on 2020-10-01
PY - 2014
Y1 - 2014
N2 - In this paper we study the asymptotic behavior of a Boltzmann-type price formation model, which describes the trading dynamics in a financial market. In many of these markets trading happens at high frequencies and low transaction costs. This observation motivates the study of the limit as the number of transactions k tends to infinity, the transaction cost a to zero and ka=const. Furthermore we illustrate the price dynamics with numerical simulations © 2014 International Press.
AB - In this paper we study the asymptotic behavior of a Boltzmann-type price formation model, which describes the trading dynamics in a financial market. In many of these markets trading happens at high frequencies and low transaction costs. This observation motivates the study of the limit as the number of transactions k tends to infinity, the transaction cost a to zero and ka=const. Furthermore we illustrate the price dynamics with numerical simulations © 2014 International Press.
UR - http://hdl.handle.net/10754/563203
UR - http://arxiv.org/abs/arXiv:1312.1304v1
UR - http://www.scopus.com/inward/record.url?scp=84901463425&partnerID=8YFLogxK
U2 - 10.4310/CMS.2014.v12.n7.a10
DO - 10.4310/CMS.2014.v12.n7.a10
M3 - Article
SN - 1539-6746
VL - 12
SP - 1353
EP - 1361
JO - Communications in Mathematical Sciences
JF - Communications in Mathematical Sciences
IS - 7
ER -